Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0619 |
| Annualized Std Dev | 0.3320 |
| Annualized Sharpe (Rf=0%) | 0.1865 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4139.0000 |
| NAs | 1.0000 |
| Minimum | -0.1485 |
| Quartile 1 | -0.0090 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0100 |
| Maximum | 0.2027 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0209 |
| Skewness | 0.5098 |
| Kurtosis | 11.0859 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0145 |
| Gain Deviation | 0.0162 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0188 |
| Downside Deviation (Rf=0%) | 0.0143 |
| Downside Deviation (0%) | 0.0143 |
| Maximum Drawdown | 0.7334 |
| Historical VaR (95%) | -0.0290 |
| Historical ES (95%) | -0.0485 |
| Modified VaR (95%) | -0.0261 |
| Modified ES (95%) | -0.0261 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-10-27 | NA | -0.7334 | 3369 | 249 | NA |
| 2007-01-04 | 2007-03-05 | 2007-05-16 | -0.2126 | 92 | 41 | 51 |
| 2006-05-09 | 2006-06-13 | 2006-10-12 | -0.2118 | 110 | 25 | 85 |
| 2007-07-24 | 2007-08-16 | 2007-08-24 | -0.1602 | 24 | 18 | 6 |
| 2005-08-16 | 2005-10-27 | 2006-01-06 | -0.1391 | 100 | 52 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | 1.2 | 0.9 | 1.9 |
| 2005 | -0.9 | -0.4 | 0.4 | 2.1 | -0.2 | 0.3 | 1.2 | 1.4 | -0.5 | 1.4 | 2.1 | -1.1 | 5.9 |
| 2006 | -0.2 | 0.7 | -0.4 | 0.4 | 1 | -0.5 | -2 | 1 | -0.3 | -0.2 | -1.2 | -0.8 | -2.4 |
| 2007 | 0.5 | -2.5 | -1.7 | 1.1 | 1.9 | -0.5 | -1.9 | 2.6 | 2.9 | -4.7 | 1.3 | -0.5 | -1.7 |
| 2008 | 4.6 | -3.5 | 7.5 | 2.1 | 0.1 | -0.5 | 1.7 | -1.3 | -0.6 | -1.9 | -7.5 | 1.2 | 1 |
| 2009 | 2.3 | -2 | 2.4 | 0.9 | 5.8 | 0.9 | -0.3 | -2.3 | -3.1 | -3.5 | 2.8 | 0.6 | 4.1 |
| 2010 | 3.1 | 2.5 | 2.8 | -0.3 | -2.3 | 0.6 | 0.4 | 2.6 | 0.7 | 1 | 2.6 | 1 | 15.5 |
| 2011 | 0.7 | -0.7 | 1.3 | 0 | -2 | 0.8 | -0.3 | -1.4 | -6.3 | -1.5 | 1.1 | 0.1 | -8.2 |
| 2012 | 1.5 | 0.1 | 1 | 1.1 | -2.4 | 3.6 | 0.3 | 0.4 | 1 | 2.6 | 0.8 | 2.3 | 12.9 |
| 2013 | 0.8 | -0.9 | -1.2 | -1.5 | -2 | -0.1 | 1.9 | 0.1 | 1.4 | 0.7 | -0.1 | 1.1 | 0 |
| 2014 | -0.2 | -1.1 | 0.3 | 0.2 | 0.5 | 0.8 | 0.6 | -0.1 | -2.1 | 1.2 | -2.6 | 1.6 | -1 |
| 2015 | -2.7 | 0 | 1.8 | 0.9 | 1.1 | -0.8 | -0.4 | -4.5 | 0.7 | -0.3 | 0.5 | -0.3 | -4.2 |
| 2016 | -2.1 | 3.6 | -0.5 | -1.6 | -0.6 | 0.8 | -0.3 | 0.8 | 0.2 | 0.7 | 0 | -0.3 | 0.3 |
| 2017 | -0.1 | 1 | -0.8 | 0.2 | 0.9 | 0.2 | 1.2 | 0 | 1.2 | 0.7 | -0.8 | 0.2 | 4 |
| 2018 | -1.4 | 0.1 | 1.3 | -0.1 | 1.2 | 1.4 | -2.2 | 0.2 | 0.5 | 4.2 | 1.4 | 0 | 6.6 |
| 2019 | -0.9 | 1.2 | 1.6 | -0.5 | -0.3 | 1.5 | -2.3 | 0 | -0.4 | 2.1 | -2.7 | 0.3 | -0.5 |
| 2020 | -2.3 | 0.6 | -4.1 | -3.4 | 1.8 | 1.2 | -1 | 1.3 | 1.2 | -1 | 1 | 0.4 | -4.4 |
| 2021 | 2.7 | 2.6 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-10-08 17.9 SPY 113. -0.0083 -0.01 3.00e-4 6.50e-3 0.0818 0.0561 -0.140 <NA> NA NA NA
2 2004-10-11 18.1 SPY 113. 0.0041 -0.0076 -8.00e-4 9.90e-3 0.0833 0.0662 -0.135 <NA> NA NA NA
3 2004-10-12 17.9 SPY 113. -0.0039 -0.012 -7.90e-3 9.10e-3 0.0761 0.0389 -0.152 <NA> NA NA NA
4 2004-10-13 17.4 SPY 112. -0.0088 -0.0269 -1.87e-2 6.70e-3 0.0633 0.014 -0.154 <NA> NA NA NA
5 2004-10-14 17.2 SPY 111. -0.0081 -0.0248 -1.91e-2 -6.00e-4 0.051 0.0104 -0.174 <NA> NA NA NA
6 2004-10-15 17.5 SPY 111. 0.0056 -0.0111 -1.66e-2 9.30e-3 0.0597 0.0179 -0.168 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
